Milstein's type schemes for fractional SDEs
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Publication:985345
DOI10.1214/08-AIHP196zbMath1197.60070arXivmath/0702317MaRDI QIDQ985345
Publication date: 21 July 2010
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0702317
stochastic differential equationfractional Brownian motionexact rate of convergenceMilstein's type schemeweighted power variations
Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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